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def main():
pop = toolbox.population(n=5)
stats = tools.Statistics(lambda ind: ind.fitness.values)
stats.register("avg", numpy.mean)
stats.register("std", numpy.std)
stats.register("min", numpy.min)
stats.register("max", numpy.max)
logbook = tools.Logbook()
logbook.header = ["gen", "evals"] + stats.fields
GEN = 1000
best = None
for g in range(GEN):
for part in pop:
part.fitness.values = toolbox.evaluate(part)
if part.best is None or part.best.fitness < part.fitness:
part.best = creator.Particle(part)
part.best.fitness.values = part.fitness.values
if best is None or best.fitness < part.fitness:
best = creator.Particle(part)
best.fitness.values = part.fitness.values
for part in pop:
toolbox.update(part, best)
ga_strategy_class = self.strategy_class
ga_setting = settings[0]
ga_vt_symbol = self.vt_symbol
ga_interval = self.interval
ga_start = self.start
ga_rate = self.rate
ga_slippage = self.slippage
ga_size = self.size
ga_pricetick = self.pricetick
ga_capital = self.capital
ga_end = self.end
ga_mode = self.mode
# Set up genetic algorithem
toolbox = base.Toolbox()
toolbox.register("individual", tools.initIterate, creator.Individual, generate_parameter)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)
toolbox.register("mate", tools.cxTwoPoint)
toolbox.register("mutate", mutate_individual, indpb=1)
toolbox.register("evaluate", ga_optimize)
toolbox.register("select", tools.selNSGA2)
total_size = len(settings)
pop_size = population_size # number of individuals in each generation
lambda_ = pop_size # number of children to produce at each generation
mu = int(pop_size * 0.8) # number of individuals to select for the next generation
cxpb = 0.95 # probability that an offspring is produced by crossover
mutpb = 1 - cxpb # probability that an offspring is produced by mutation
ngen = ngen_size # number of generation
pop = toolbox.population(pop_size)
Interval, Status)
from vnpy.trader.database import database_manager
from vnpy.trader.object import OrderData, TradeData, BarData, TickData
from vnpy.trader.utility import round_to
from .base import (
BacktestingMode,
EngineType,
STOPORDER_PREFIX,
StopOrder,
StopOrderStatus,
)
from .template import CtaTemplate
sns.set_style("whitegrid")
creator.create("FitnessMax", base.Fitness, weights=(1.0,))
creator.create("Individual", list, fitness=creator.FitnessMax)
class OptimizationSetting:
"""
Setting for runnning optimization.
"""
def __init__(self):
""""""
self.params = {}
self.target_name = ""
def add_parameter(
self, name: str, start: float, end: float = None, step: float = None
):
""""""
def main():
random.seed(64)
NGEN = 50
MU = 50
LAMBDA = 100
CXPB = 0.7
MUTPB = 0.2
pop = toolbox.population(n=MU)
hof = tools.ParetoFront()
stats = tools.Statistics(lambda ind: ind.fitness.values)
stats.register("avg", numpy.mean, axis=0)
stats.register("std", numpy.std, axis=0)
stats.register("min", numpy.min, axis=0)
stats.register("max", numpy.max, axis=0)
algorithms.eaMuPlusLambda(pop, toolbox, MU, LAMBDA, CXPB, MUTPB, NGEN, stats,
halloffame=hof)
return pop, stats, hof
stock_GA_deap.py
Created by Huaizheng ZHANG on 7.6.
Copyright (c) 2015 zhzHNN. All rights reserved.
"""
import random
from deap import base
from deap import creator
from deap import tools
creator.create("FitnessMax", base.Fitness, weights=(1.0,))
creator.create("Individual", list, fitness=creator.FitnessMax)
toolbox = base.Toolbox()
# Attribute generator
toolbox.register("attr_bool", random.randint, 0, 1)
# Structure initializers
toolbox.register("individual", tools.initRepeat, creator.Individual,
toolbox.attr_bool, 100)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)
def evalOneMax(individual):
return sum(individual),
# Operator registering
toolbox.register("evaluate", evalOneMax)
toolbox.register("mate", tools.cxTwoPoint)
toolbox.register("mutate", tools.mutFlipBit, indpb=0.05)
toolbox.register("select", tools.selTournament, tournsize=3)
# Multiprocessing is not supported yet.
# pool = multiprocessing.Pool(multiprocessing.cpu_count())
# toolbox.register("map", pool.map)
# Run ga optimization
self.output(f" parameter optimization space :{total_size}")
self.output(f" the total number of population each generation :{pop_size}")
self.output(f" the number of fine screening :{mu}")
self.output(f" iterations :{ngen}")
self.output(f" crossover probability :{cxpb:.0%}")
self.output(f" mutation probability :{mutpb:.0%}")
start = time()
algorithms.eaMuPlusLambda(
pop,
toolbox,
mu,
lambda_,
cxpb,
mutpb,
ngen,
stats,
halloffame=hof
)
end = time()
cost = int((end - start))
self.output(f" genetic algorithm optimization is complete , time consuming {cost} second ")
def main():
#random.seed(21)
pop = toolbox.population(n=300)
hof = tools.HallOfFame(1)
stats = tools.Statistics(lambda ind: ind.fitness.values)
stats.register("avg", numpy.mean)
stats.register("std", numpy.std)
stats.register("min", numpy.min)
stats.register("max", numpy.max)
algorithms.eaSimple(pop, toolbox, 0.5, 0.2, 40, stats, halloffame=hof)
return pop, stats, hof
# 2.3.5 Seeding a population
import json
from deap import base
from deap import creator
creator.create("FitnessMax", base.Fitness, weights=(1.0, 1.0))
creator.create("Individual", list, fitness=creator.FitnessMax)
def initIndividual(icls, content):
return icls(content)
def initPopulation(pcls, ind_init, filename):
contents = json.load(open(filename, "r"))
return pcls(ind_init(c) for c in contents)
toolbox = base.Toolbox()
toolbox.register("individual_guess", initIndividual, creator.Individual)
toolbox.register("population_guess", initPopulation, list, toolbox.individual_guess, "my_guess.json")
population = toolbox.population_guess()
def deap_test():
# onemax example evolves to print list of ones: [1, 1, 1, 1, 1, 1, 1, 1, 1, 1]
numpy.random.seed(1)
def evalOneMax(individual):
return sum(individual),
creator.create("FitnessMax", base.Fitness, weights=(1.0,))
creator.create("Individual", list, typecode='b', fitness=creator.FitnessMax)
toolbox = base.Toolbox()
toolbox.register("attr_bool", numpy.random.randint, 0, 1)
toolbox.register("individual", tools.initRepeat, creator.Individual, toolbox.attr_bool, 10)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)
toolbox.register("evaluate", evalOneMax)
toolbox.register("mate", tools.cxTwoPoint)
toolbox.register("mutate", tools.mutFlipBit, indpb=0.05)
toolbox.register("select", tools.selTournament, tournsize=3)
pop = toolbox.population(n=50)
hof = tools.HallOfFame(1)
stats = tools.Statistics(lambda ind: ind.fitness.values)
stats.register("avg", numpy.mean)
stats.register("std", numpy.std)
## register evaluation, selection, crossover, and mutation functions
print('toolbox reg')
print("register evaluation")
toolbox.register("evaluate", maxProfit)
print("register selection")
toolbox.register("select", tools.selTournament, tournsize=3)
print("register mate")
toolbox.register("mate", gp.cxOnePoint)
toolbox.register("expr_mut", gp.genFull, min_=0, max_=2)
toolbox.register("mutate", gp.mutUniform, expr=toolbox.expr_mut, pset=pset)
toolbox.decorate("mate", gp.staticLimit(key=operator.attrgetter("height"), max_value=maxStrategyDepth))
toolbox.decorate("expr_mut", gp.staticLimit(key=operator.attrgetter("height"), max_value=maxStrategyDepth))
print("register statistics")
stats_fit = tools.Statistics(lambda ind: ind.fitness.values)
stats_size = tools.Statistics(len)
mstats = tools.MultiStatistics(fitness=stats_fit, size=stats_size)
mstats.register("avg", np.mean)
mstats.register("std", np.std)
mstats.register("min", np.min)
mstats.register("max", np.max)
def trainTestFitness(trainScore,testScore):
train=np.exp(-1*trainScore)
test=np.exp(-1*testScore)
score=np.abs(train-test)+1-np.divide(np.sqrt((1-train)**2+(1-test)**2),np.sqrt(2))
if((train<0 or train>1)):
score=-1
if ((test<0) or (test>1)):
score=-1
return score